Fractional and seasonal filtering

Dominique Guegan () and Laurent Ferrara
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We introduce in this study a new strategy to model simultaneously persistence and seasonality inside economic data using different stochastic filters based on the Gegenbauer modelling. The limits and advantages of these filters are discussed in order to improve the adjustment of economic series, particularly when specific trend is observed. The series of new cars registrations in the Euro-zone is modelled using the previous filters

Keywords: Persistence; Seasonality; Euro-zone new car registrations.; Fractional filter; Euro-zone new car registrations (search for similar items in EconPapers)
Date: 2008
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00646178v1
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Published in J.L. Mazi. Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat, pp.121-132, 2008

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Working Paper: Fractional and seasonal filtering (2008)
Working Paper: Fractional and seasonal filtering (2008)
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